Testing the predictability of U.S. housing price index returns based on an IVX-AR model

DOI10.1080/01621459.2019.1686392MaRDI QIDQ5146012zbMATH OpenOpenAlexWikidataFDO

Authors Bingduo Yang, Wei Long, Liang Peng, Zongwu Cai

Publication date 22 January 2021

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01621459.2019.1686392

zbMATH Keywords

hypothesis teststock return predictabilityserially correlated errorspredictive regression model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Recommendations

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Cites work

• A unified test for predictability of asset returns regardless of properties of predicting variables
• Analysis of financial time series
• Data Tilting for Time Series
• Efficient Tests for an Autoregressive Unit Root
• LIMIT THEORY FOR COINTEGRATED SYSTEMS WITH MODERATELY INTEGRATED AND MODERATELY EXPLOSIVE REGRESSORS
• More Efficient Local Polynomial Estimation in Nonparametric Regression With Autocorrelated Errors
• Nonparametric transfer function models
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• Predictive quantile regression with persistent covariates: IVX-QR approach
• Predictive regression under various degrees of persistence and robust long-horizon regression
• Predictive regressions for macroeconomic data
• Robust econometric inference with mixed integrated and mildly explosive regressors
• Testing for a unit root in time series regression
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing predictive regression models with nonstationary regressors
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Uniform interval estimation for an AR(1) process with AR errors

Cited in

(8)

• Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
• Robust inference with stochastic local unit root regressors in predictive regressions
• Weighted nonlinear regression with nonstationary time series
• Incorporating relative error criterion to conformal prediction for positive data
• Finite-sample size control of IVX-based tests in predictive regressions
• A Unified Inference for Predictive Quantile Regression
• A new robust inference for predictive quantile regression
• Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model

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